Why Is Micro Evidence on the Effects of Uncertainty Not Replicated In Macro Data?

 
Author/Editor: Bond, Stephen ; Lombardi, Domenico
 
Publication Date: August 01, 2005
 
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Summary: This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear microeconomic processes. Replicating firm-level evidence that uncertainty influences investment dynamics proves to be challenging. Even using perfectly consistent data sources, this requires both exact aggregation of the underlying micro equations, and controlling for the unobserved influences on investment that are commonly subsumed into time dummies in panel studies. These conditions are unlikely to be satisfied in most aggregate econometric studies.
 
Series: Working Paper No. 05/158
Subject(s): Data analysis | Data collection | Economic models | Investment | United Kingdom

Author's Keyword(s): Aggregation | investment | uncertainty
 
English
Publication Date: August 01, 2005
ISBN/ISSN: 1934-7073 Format: Paper
Stock No: WPIEA2005158 Pages: 35
Price:
US$15.00 (Academic Rate:
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